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On Distributionally Robust Chance-Constrained Linear Programs

Citations

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  1. Wenqing Chen & Melvyn Sim & Jie Sun & Chung-Piaw Teo, 2010. "From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization," Operations Research, INFORMS, vol. 58(2), pages 470-485, April.
  2. Bruni, M.E. & Khodaparasti, S. & Beraldi, P., 2020. "The selective minimum latency problem under travel time variability: An application to post-disaster assessment operations," Omega, Elsevier, vol. 92(C).
  3. Aigner, Kevin-Martin & Clarner, Jan-Patrick & Liers, Frauke & Martin, Alexander, 2022. "Robust approximation of chance constrained DC optimal power flow under decision-dependent uncertainty," European Journal of Operational Research, Elsevier, vol. 301(1), pages 318-333.
  4. Zhiping Chen & Shen Peng & Jia Liu, 2018. "Data-Driven Robust Chance Constrained Problems: A Mixture Model Approach," Journal of Optimization Theory and Applications, Springer, vol. 179(3), pages 1065-1085, December.
  5. Carlsson, John Gunnar & Behroozi, Mehdi, 2017. "Worst-case demand distributions in vehicle routing," European Journal of Operational Research, Elsevier, vol. 256(2), pages 462-472.
  6. Beraldi, Patrizia & Bruni, Maria Elena & Laganà, Demetrio & Musmanno, Roberto, 2015. "The mixed capacitated general routing problem under uncertainty," European Journal of Operational Research, Elsevier, vol. 240(2), pages 382-392.
  7. Corina Birghila & Tim J. Boonen & Mario Ghossoub, 2020. "Optimal Insurance under Maxmin Expected Utility," Papers 2010.07383, arXiv.org.
  8. Fang, Xin & Hodge, Bri-Mathias & Du, Ershun & Zhang, Ning & Li, Fangxing, 2018. "Modelling wind power spatial-temporal correlation in multi-interval optimal power flow: A sparse correlation matrix approach," Applied Energy, Elsevier, vol. 230(C), pages 531-539.
  9. Weijun Xie & Shabbir Ahmed, 2020. "Bicriteria Approximation of Chance-Constrained Covering Problems," Operations Research, INFORMS, vol. 68(2), pages 516-533, March.
  10. Byung Chung & Tao Yao & Bo Zhang, 2012. "Dynamic Traffic Assignment under Uncertainty: A Distributional Robust Chance-Constrained Approach," Networks and Spatial Economics, Springer, vol. 12(1), pages 167-181, March.
  11. Fengmin Xu & Meihua Wang & Yu-Hong Dai & Dachuan Xu, 2018. "A sparse enhanced indexation model with chance and cardinality constraints," Journal of Global Optimization, Springer, vol. 70(1), pages 5-25, January.
  12. Calafiore, Giuseppe Carlo & Parino, Francesco & Zino, Lorenzo & Rizzo, Alessandro, 2023. "Dynamic planning of a two-dose vaccination campaign with uncertain supplies," European Journal of Operational Research, Elsevier, vol. 304(3), pages 1269-1278.
  13. Erick Delage & Yinyu Ye, 2010. "Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems," Operations Research, INFORMS, vol. 58(3), pages 595-612, June.
  14. Yue Zhao & Zhi Chen & Zhenzhen Zhang, 2023. "Distributionally Robust Chance-Constrained p -Hub Center Problem," INFORMS Journal on Computing, INFORMS, vol. 35(6), pages 1361-1382, November.
  15. Zhao, Shuaidong & Zhang, Kuilin, 2020. "A distributionally robust stochastic optimization-based model predictive control with distributionally robust chance constraints for cooperative adaptive cruise control under uncertain traffic conditi," Transportation Research Part B: Methodological, Elsevier, vol. 138(C), pages 144-178.
  16. Ebenezer Fiifi Emire Atta Mills & Bo Yu & Kailin Zeng, 2019. "Satisfying Bank Capital Requirements: A Robustness Approach in a Modified Roy Safety-First Framework," Mathematics, MDPI, vol. 7(7), pages 1-20, July.
  17. Nguyen, Thu Ba T. & Sivakumar, Appa Iyer & Graves, Stephen C., 2018. "Capacity planning with demand uncertainty for outpatient clinics," European Journal of Operational Research, Elsevier, vol. 267(1), pages 338-348.
  18. Grani A. Hanasusanto & Vladimir Roitch & Daniel Kuhn & Wolfram Wiesemann, 2017. "Ambiguous Joint Chance Constraints Under Mean and Dispersion Information," Operations Research, INFORMS, vol. 65(3), pages 751-767, June.
  19. Aslan, Ayse & Ursavas, Evrim & Romeijnders, Ward, 2023. "A Precedence Constrained Knapsack Problem with Uncertain Item Weights for Personalized Learning Systems," Omega, Elsevier, vol. 115(C).
  20. Shen Peng & Jie Jiang, 2021. "Stochastic mathematical programs with probabilistic complementarity constraints: SAA and distributionally robust approaches," Computational Optimization and Applications, Springer, vol. 80(1), pages 153-184, September.
  21. Zhang, Zhengfa & da Silva, Filipe Faria & Guo, Yifei & Bak, Claus Leth & Chen, Zhe, 2022. "Coordinated voltage control in unbalanced distribution networks with two-stage distributionally robust chance-constrained receding horizon control," Renewable Energy, Elsevier, vol. 198(C), pages 907-915.
  22. Bilsel, R. Ufuk & Ravindran, A., 2011. "A multiobjective chance constrained programming model for supplier selection under uncertainty," Transportation Research Part B: Methodological, Elsevier, vol. 45(8), pages 1284-1300, September.
  23. Rashed Khanjani-Shiraz & Ali Babapour-Azar & Zohreh Hosseini-Noudeh & Panos M. Pardalos, 2022. "Distributionally robust maximum probability shortest path problem," Journal of Combinatorial Optimization, Springer, vol. 43(1), pages 140-167, January.
  24. Seong-Cheol Kang & Theodora Brisimi & Ioannis Paschalidis, 2015. "Distribution-dependent robust linear optimization with applications to inventory control," Annals of Operations Research, Springer, vol. 231(1), pages 229-263, August.
  25. Liu, Ming & Liu, Xin & Chu, Feng & Zheng, Feifeng & Chu, Chengbin, 2019. "Distributionally robust inventory routing problem to maximize the service level under limited budget," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 126(C), pages 190-211.
  26. Dawen Yan & Xiaohui Zhang & Mingzheng Wang, 2021. "A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations," Annals of Operations Research, Springer, vol. 299(1), pages 659-710, April.
  27. Skalyga, Mikhail & Wu, Qiuwei & Zhang, Menglin, 2021. "Uncertainty-fully-aware coordinated dispatch of integrated electricity and heat system," Energy, Elsevier, vol. 224(C).
  28. Huan Xu & Shie Mannor, 2012. "Distributionally Robust Markov Decision Processes," Mathematics of Operations Research, INFORMS, vol. 37(2), pages 288-300, May.
  29. Postek, Krzysztof & Ben-Tal, A. & den Hertog, Dick & Melenberg, Bertrand, 2015. "Exact Robust Counterparts of Ambiguous Stochastic Constraints Under Mean and Dispersion Information," Discussion Paper 2015-030, Tilburg University, Center for Economic Research.
  30. Guanglin Xu & Samuel Burer, 2018. "A data-driven distributionally robust bound on the expected optimal value of uncertain mixed 0-1 linear programming," Computational Management Science, Springer, vol. 15(1), pages 111-134, January.
  31. Huan Xu & Constantine Caramanis & Shie Mannor, 2016. "Statistical Optimization in High Dimensions," Operations Research, INFORMS, vol. 64(4), pages 958-979, August.
  32. Zhao, Baining & Qian, Tong & Tang, Wenhu & Liang, Qiheng, 2022. "A data-enhanced distributionally robust optimization method for economic dispatch of integrated electricity and natural gas systems with wind uncertainty," Energy, Elsevier, vol. 243(C).
  33. Olivier Klopfenstein, 2010. "Solving chance-constrained combinatorial problems to optimality," Computational Optimization and Applications, Springer, vol. 45(3), pages 607-638, April.
  34. Olivares, Alberto & Staffetti, Ernesto, 2023. "A statistical moment-based spectral approach to the chance-constrained stochastic optimal control of epidemic models," Chaos, Solitons & Fractals, Elsevier, vol. 172(C).
  35. Noorizadegan, Mahdi & Chen, Bo, 2018. "Vehicle routing with probabilistic capacity constraints," European Journal of Operational Research, Elsevier, vol. 270(2), pages 544-555.
  36. Fang, Xin & Cui, Hantao & Du, Ershun & Li, Fangxing & Kang, Chongqing, 2021. "Characteristics of locational uncertainty marginal price for correlated uncertainties of variable renewable generation and demands," Applied Energy, Elsevier, vol. 282(PA).
  37. Hua Sun & Ziyou Gao & W. Szeto & Jiancheng Long & Fangxia Zhao, 2014. "A Distributionally Robust Joint Chance Constrained Optimization Model for the Dynamic Network Design Problem under Demand Uncertainty," Networks and Spatial Economics, Springer, vol. 14(3), pages 409-433, December.
  38. Erick Delage & Shie Mannor, 2010. "Percentile Optimization for Markov Decision Processes with Parameter Uncertainty," Operations Research, INFORMS, vol. 58(1), pages 203-213, February.
  39. L. Jeff Hong & Zhiyuan Huang & Henry Lam, 2021. "Learning-Based Robust Optimization: Procedures and Statistical Guarantees," Management Science, INFORMS, vol. 67(6), pages 3447-3467, June.
  40. Zhiping Chen & Shen Peng & Abdel Lisser, 2020. "A sparse chance constrained portfolio selection model with multiple constraints," Journal of Global Optimization, Springer, vol. 77(4), pages 825-852, August.
  41. Postek, Krzysztof & Ben-Tal, A. & den Hertog, Dick & Melenberg, Bertrand, 2015. "Exact Robust Counterparts of Ambiguous Stochastic Constraints Under Mean and Dispersion Information," Other publications TiSEM d718e419-a375-4707-b206-e, Tilburg University, School of Economics and Management.
  42. Wolfram Wiesemann & Daniel Kuhn & Melvyn Sim, 2014. "Distributionally Robust Convex Optimization," Operations Research, INFORMS, vol. 62(6), pages 1358-1376, December.
  43. Xufeng Tang & Chang Liu & Xinqi Li & Ying Ji, 2023. "Distributionally Robust Programming of Berth-Allocation-with-Crane-Allocation Problem with Uncertain Quay-Crane-Handling Efficiency," Sustainability, MDPI, vol. 15(18), pages 1-27, September.
  44. Qiu, Ruozhen & Sun, Yue & Sun, Minghe, 2022. "A robust optimization approach for multi-product inventory management in a dual-channel warehouse under demand uncertainties," Omega, Elsevier, vol. 109(C).
  45. Maxime C. Cohen & Philipp W. Keller & Vahab Mirrokni & Morteza Zadimoghaddam, 2019. "Overcommitment in Cloud Services: Bin Packing with Chance Constraints," Management Science, INFORMS, vol. 65(7), pages 3255-3271, July.
  46. Fang, Xin & Cui, Hantao & Yuan, Haoyu & Tan, Jin & Jiang, Tao, 2019. "Distributionally-robust chance constrained and interval optimization for integrated electricity and natural gas systems optimal power flow with wind uncertainties," Applied Energy, Elsevier, vol. 252(C), pages 1-1.
  47. Corina Birghila & Tim J. Boonen & Mario Ghossoub, 2023. "Optimal insurance under maxmin expected utility," Finance and Stochastics, Springer, vol. 27(2), pages 467-501, April.
  48. Ernst Roos & Dick den Hertog, 2020. "Reducing Conservatism in Robust Optimization," INFORMS Journal on Computing, INFORMS, vol. 32(4), pages 1109-1127, October.
  49. Lu, Mengshi & Nakao, Hideaki & Shen, Siqian & Zhao, Lin, 2021. "Non-profit resource allocation and service scheduling with cross-subsidization and uncertain resource consumptions," Omega, Elsevier, vol. 99(C).
  50. Novak, Antonin & Sucha, Premysl & Novotny, Matej & Stec, Richard & Hanzalek, Zdenek, 2022. "Scheduling jobs with normally distributed processing times on parallel machines," European Journal of Operational Research, Elsevier, vol. 297(2), pages 422-441.
  51. Aharon Ben-Tal & Dimitris Bertsimas & David B. Brown, 2010. "A Soft Robust Model for Optimization Under Ambiguity," Operations Research, INFORMS, vol. 58(4-part-2), pages 1220-1234, August.
  52. Roos, Ernst & den Hertog, Dick, 2019. "Reducing conservatism in robust optimization," Other publications TiSEM ad0238cd-de7a-4366-b487-b, Tilburg University, School of Economics and Management.
  53. Karthik Natarajan & Chung Piaw Teo & Zhichao Zheng, 2011. "Mixed 0-1 Linear Programs Under Objective Uncertainty: A Completely Positive Representation," Operations Research, INFORMS, vol. 59(3), pages 713-728, June.
  54. Qian, Tong & Chen, Xingyu & Xin, Yanli & Tang, Wenhu & Wang, Lixiao, 2022. "Resilient decentralized optimization of chance constrained electricity-gas systems over lossy communication networks," Energy, Elsevier, vol. 239(PB).
  55. Zheng Zhang & Brian T. Denton & Xiaolan Xie, 2020. "Branch and Price for Chance-Constrained Bin Packing," INFORMS Journal on Computing, INFORMS, vol. 32(3), pages 547-564, July.
  56. Erick Delage & Sharon Arroyo & Yinyu Ye, 2014. "The Value of Stochastic Modeling in Two-Stage Stochastic Programs with Cost Uncertainty," Operations Research, INFORMS, vol. 62(6), pages 1377-1393, December.
  57. Ashley M. Hou & Line A. Roald, 2022. "Data-driven tuning for chance constrained optimization: analysis and extensions," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(3), pages 649-682, October.
  58. Jiang, Jie & Peng, Shen, 2024. "Mathematical programs with distributionally robust chance constraints: Statistical robustness, discretization and reformulation," European Journal of Operational Research, Elsevier, vol. 313(2), pages 616-627.
  59. Arthur Flajolet & Sébastien Blandin & Patrick Jaillet, 2018. "Robust Adaptive Routing Under Uncertainty," Operations Research, INFORMS, vol. 66(1), pages 210-229, January.
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